XLU Options History — March 2009 In March 2009, XLU traded between $11.37 and $13.16. ATM implied volatility averaged 37.4%, placing in the 14.6% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 6.1% (HV 20d: 31.3%). Max pain ranged from $12.00 to $14.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.83.
Notable Days 2009-03-05 : Highest Volume — 324,638 contracts2009-03-05 : Largest IV spike — 27.1% change2009-03-09 : Highest IV Rank — 19.4%2009-03-05 : Largest Expected Move — 12.8%Monthly Statistics Metric Avg Min Max Open Close Price $12.28 $11.37 $13.16 $12.28 $12.78 Max Pain $12.66 $12.00 $14.00 $14.00 $12.50 ATM IV 37.4% 31.1% 45.7% 38.3% 32.6% Expected Move 10.6% 8.9% 12.8% 11.0% 9.3% HV 20d 31.3% 27.1% 35.4% 27.1% 29.8% HV 60d 26.7% 25.4% 28.2% 25.9% 27.6% IV Rank 14.6% 11.0% 19.4% 15.1% 11.8% IV Percentile 72.6% 57.1% 84.5% 78.2% 61.5% Term Structure -1.4% -3.9% 1.7% -1.5% 0.8% VWIV 36.2% 31.4% 44.5% 38.6% 33.7% Skew 25d 7.1% 4.2% 12.3% 10.4% 4.6% Skew 10d 13.9% 9.7% 21.2% 15.5% 20.7% Call IV 25d 34.0% 27.6% 40.3% 35.9% 31.8% Put IV 25d 41.1% 34.6% 50.5% 46.3% 36.4% Bid-Ask Spread % 15.55 11.54 20.28 14.04 15.95 Gamma HHI 0.52 0.19 0.75 0.22 0.54 Net GEX 13.7M -2.2M 24.0M -2.2M 23.9M Net DEX -172.8M -467.5M 117.2M 107.0M -368.9M Net VEX -1.2M -1.9M -223.6K -283.7K -1.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.83 0.04 3.99 3.99 2.79 Total Volume 47,235.727 2,614 324,638 15,290 7,252 Total OI 671,182.455 196,290 925,736 196,706 843,420
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2009-03-02 $12.28 $14.00 38.3% 11.0% 27.1% 15.1% 38.6% 10.4% -1.5% -2.2M 107.0M -283.7K 3.99 14.04 3,062 12,228 63,766 132,940 2009-03-03 $11.84 $14.00 39.1% 11.2% 28.3% 15.6% 33.9% 10.3% -2.1% -1.9M 112.7M -247.2K 1.37 15.66 1,470 2,008 64,308 131,982 2009-03-04 $11.95 $14.00 35.2% 10.1% 28.7% 13.3% 31.4% 11.1% -0.5% -2.2M 112.4M -244.0K 0.36 12.08 5,906 2,148 64,646 132,906 2009-03-05 $11.61 $14.00 44.7% 12.8% 28.6% 18.9% 44.5% 12.3% -3.7% -1.7M 117.2M -223.6K 0.04 13.58 310,690 13,948 65,140 133,644 2009-03-06 $11.59 $12.50 45.1% 11.8% 28.1% 19.1% 38.4% 9.2% -3.3% 7.4M 14.8M -646.4K 0.22 13.47 24,878 5,384 370,154 142,490 2009-03-09 $11.37 $12.50 45.7% 12.1% 27.2% 19.4% 40.3% 7.8% -3.9% 6.9M 36.1M -617.7K 0.08 14.62 19,940 1,620 395,176 146,184 2009-03-10 $11.52 $12.50 43.9% 11.7% 28.7% 18.4% 39.5% 6.4% -3.9% 8.3M 16.0M -641.1K 1.33 13.98 1,668 2,214 398,908 145,090 2009-03-11 $11.50 $12.50 43.0% 11.8% 28.4% 17.9% 39.6% 5.8% -2.9% 7.5M 22.0M -614.5K 0.10 11.54 242,386 23,372 384,610 145,976 2009-03-12 $11.65 $12.50 39.0% 11.2% 29.5% 15.6% 36.4% 5.0% -2.4% 13.5M -70.8M -1.3M 0.18 13.33 47,740 8,434 626,062 168,822 2009-03-13 $11.81 $12.00 36.9% 10.6% 30.8% 14.4% 38.5% 6.7% -1.4% 16.0M -111.7M -1.5M 1.18 12.83 2,644 3,124 670,986 172,326 2009-03-16 $12.13 $12.00 38.4% 11.0% 33.3% 15.2% 38.0% 6.2% -2.6% 17.7M -174.0M -1.5M 0.74 16.41 6,368 4,688 662,320 174,620 2009-03-17 $12.32 $12.00 35.9% 10.3% 31.4% 13.8% 36.3% 6.6% -2.3% 18.9M -220.4M -1.6M 0.25 20.28 3,816 938 665,222 175,906 2009-03-18 $12.72 $12.00 36.5% 10.5% 33.7% 14.1% 35.8% 6.6% -1.8% 19.6M -307.7M -1.7M 1.26 17.71 31,432 39,626 665,576 176,218 2009-03-19 $12.90 $12.00 35.2% 10.1% 34.1% 13.4% 34.8% 6.2% -0.9% 19.0M -347.6M -1.8M 0.12 19.34 88,834 10,240 688,732 210,274 2009-03-20 $12.68 $12.50 37.2% 10.7% 33.8% 14.5% 37.1% 5.7% -1.8% 20.4M -324.3M -1.9M 1.03 15.59 28,720 29,564 712,434 213,302 2009-03-23 $13.16 $12.50 32.8% 9.4% 35.4% 12.0% 32.6% 6.5% 0.1% 19.2M -467.5M -1.8M 0.54 19.61 5,538 2,978 647,568 179,316 2009-03-24 $12.88 $12.50 32.7% 9.4% 34.8% 11.9% 33.1% 5.7% 0.3% 21.5M -402.4M -1.8M 0.79 14.97 1,460 1,154 651,150 181,636 2009-03-25 $12.88 $12.50 32.7% 9.4% 34.8% 11.9% 32.1% 4.2% -0.4% 22.3M -385.9M -1.8M 0.08 18.07 4,384 358 651,530 181,926 2009-03-26 $13.03 $12.50 31.1% 8.9% 34.5% 11.0% 33.1% 7.1% 1.7% 21.3M -438.6M -1.8M 0.66 17.90 3,616 2,376 654,088 182,196 2009-03-27 $12.90 $12.50 31.8% 9.1% 34.2% 11.4% 33.3% 5.6% 1.1% 22.8M -395.0M -1.8M 0.53 17.72 13,826 7,264 653,916 184,088 2009-03-30 $12.64 $12.50 35.7% 10.2% 32.9% 13.6% 36.0% 5.1% -0.4% 24.0M -324.4M -1.8M 0.61 13.48 6,128 3,762 663,944 190,516 2009-03-31 $12.78 $12.50 32.6% 9.3% 29.8% 11.8% 33.7% 4.6% 0.8% 23.9M -368.9M -1.7M 2.79 15.95 1,916 5,336 649,792 193,628
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